Other Mathematics Commons^™

Spectral Theory For Gaussian Processes: Reproducing Kernels, Random Functions, Boundaries, And L2-Wavelet Generators With Fractional Scales, Daniel Alpay

Mathematics, Physics, and Computer Science Faculty Articles and Research

A recurrent theme in functional analysis is the interplay between the theory of positive definite functions, and their reproducing kernels, on the one hand, and Gaussian stochastic processes, on the other. This central theme is motivated by a host of applications, e.g., in mathematical physics, and in stochastic differential equations, and their use in financial models. In this paper, we show that, for three classes of cases in the correspondence, it is possible to obtain explicit formulas which are amenable to computations of the respective Gaussian stochastic processes. For achieving this, we first develop two functional analytic tools. They are: …